Study On The Volatility Of Stock Index Futures In China

Along with the deepening of financial reform and the adjustment of the structure of capital market,China's first financial futures the Shanghai and Shenzhen 300 index futures contracts have been officially listed on April 16,2010,and the emergence of stock index futures balanced trading mechanism of financial market,investors can gain profit by shorting the stock index,but also it brings some certain risks.This paper focuses on discussing the components of stock index futures price volatility in China and exploring the correlation between the two components,including the following two aspects:First,information-induced volatility(information component volatility)and liquidity-induced volatility(liquidity component volatility)are separated from stock index futures price volatility in China.Based on micro market structure model,by using high frequency data,the optimal price fluctuations can be divided into liquid composition and information components,namely the stock index futures price can be divided into liquidity component and information component.Also using the data in the summer of 2015 stock market crash in the late stage,the current and high frequency data,volatility of two components is obtained by separation model series,and compare the two ingredients in three different periods of volatility size at the same time,which in a certain to explain the crash in the summer of 2015.Study found:(1)the lack of liquidity of stock index futures appear during a crash,although the results in the decrease of liquid component volatility,but result in higher information composition fluctuation rate,and because the share of information composition fluctuation is bigger,so overall the stock index futures price volatility increases in our country during the crash.(2)after restraints on stock index futures trading measures after the crash,volatility of China stock index futures information composition is the lowest in three periods,which means that the move have practical significance in a certain degree.Secondly,the paper discusses the influence of stock index futures market liquidity index to information component volatility.Based on the first step of the information in the stock index futures price fluctuations component volatility data,by constructing the VAR model and multiple regression model to explore the relationship between various liquidity indicators(such as bid-ask spread,depth,etc.)and the information component volatility.Study found: Chinese stock index futures marketliquidity index system(limit order book)and the information in the composition of China's stock index futures price fluctuations component volatility has certain dynamic relationship,and the results through the multiple regression model analysis shows that the index of the selection of indicators of bid-ask spread has the greatest impact on the volatility of information components,and combined with the influence of the four indicators on the volatility of information components and the positive and negative relationship of them can be seen that: the more scarce the market liquidity is,(namely the thinner the price book is),the higher the volatility of information components.